The PICAxe is a very handy microcontroller, but it's easier to use if you have a prototyping PCB to mount it to! HVWTech is the place to get it!
The PICAxe-14M Project Board Kit is great for rapidly building your PICAxe-based project.
It offers a buffered output circuit using the ULN2003A darlington driver (a very common "muscle" chip), that will let you have more-than-ample power to drive a LED, speaker, or a motor (in one direction - it isn't an H-Bridge chip). There's even a set of resistors included to scale the output voltages down to 3.3V if your system requires it!
Note, though, that this does not include a PICAXE 14M IC. But you can get one right here!